3917 7496
KK 837
PhD in Finance, London School of Economics, 2012
MSc in Finance and Economics, London School of Economics, 2008
BA in Economics, University of St Gallen, 2006
Thomas Andreas Maurer is an Associate Professor of Finance at the HKU Business School, The University of Hong Kong. Before joining HKU in 2019, he was an Assistant Professor of Finance at the Olin Business School, Washington University in St. Louis from 2012 to 2019. Thomas earned his London School of Economics MSc in Finance and Economics degree in 2008 and his LSE PhD in Finance degree in 2012. During his PhD studies he has spent one year as a visiting scholar at the University of Chicago Booth School of Business.
His research contributions are in the area of theoretical and empirical asset pricing, international finance and household finance. He regularly serves as a committee member for academic conferences and as an academic referee for many major economics and finance journals.
At HKU, Thomas is teaching classes on derivative securities to undergraduate students. In 2017, the graduating Master of Finance class at Wash U has chosen him as the best teacher and he was awarded the Reid teaching prize for the professor “whose enthusiasm and exceptional teaching most inspire, energize, and transform students”.
FINA2322 Derivatives
Asset pricing
International Finance
Household Finance
我们研究外汇市场中择时交易的经济价值，即是利用与有条件夏普比率相关的资讯，来调整条件下均值方差最优的货币组合的名义价值。当条件下风险收益权衡更有利（不利）时，我们的策略会更激进（保守）地进行交易。这样可以显著改善样本外无条件夏普比率、偏度和每百分之一预期超额收益率的最大回撤。该策略中的择时交易预测了外汇市场的回报、波动性和偏度。普遍的货币定价因子无法解释该策略的高平均超额收益率。我们的研究结果显示，在建构货币交易策略时，采用杠杆、风险（即条件波动性）限制或其他次等择时交易策略的代价高昂。
我们在无偏好设定的情况下引入风险纠缠的概念，以一并解释数据中的汇率波动性、周期性和货币风险溢价。风险纠缠对应了一部分不完备市场模型，当中对汇率的非扩散或非对数正态冲击并未能完全被资产回报所解释。当风险纠缠时，会出现多种定价一致的汇率，但它们都不等于随机贴现因数（SDFs）的比率或其预测。将汇率与SDF脱钩能让我们解释在国际金融中令人费解的主要外汇市场规律。
从业界转投学界，毛雷尔博士是一个兴趣使然的浪漫主义者。他热衷于共享知识，更希望能为学生带来正面积极的影响。
